I am not sure why you want to do this, but you can accomplish it with preg_replace().
Try adding this to your theme’s functions.php:
add_filter( 'admin_post_thumbnail_html', 'remove_featured_image_link' );
function remove_featured_image_link($content) {
$content_edit = preg_replace('/<a .*?class="(.*?thickbox.*?)">(.*?)<\/a>/','<div>$2</div>',$content);
return $content_edit;
}